You can do with NSAttributedString
as below.
NSMutableAttributedString* string = [[NSMutableAttributedString alloc]initWithString:@"you string"];
[string addAttribute:NSFontAttributeName value:font range:NSMakeRange(0, string.length)];
[string addAttribute:NSForegroundColorAttributeName value:[UIColor blackColor] range:NSMakeRange(0, string.length)];//TextColor
[string addAttribute:NSUnderlineStyleAttributeName value:underlineNumber range:NSMakeRange(0, string.length)];//Underline color
[string addAttribute:NSUnderlineColorAttributeName value:[UIColor lightGrayColor] range:NSMakeRange(0, string.length)];//TextColor
yourlabel. attributedText = string;
Note: You can also underline particular range of string as like in this post. Also note down, it works ios6+ only.